Analýza a porovnání různých modelů pro Value at Risk na nelineárním portfoliu
The thesis describes Value-at-Risk (VaR) and Expected Shortfall (ES) models for measuring market risk. Parametric method, Monte Carlo simulation, and Historical simulation (HS) are presented. The second part of the thesis analyzes Extreme Value Theory (EVT). The fundamental theory behind EVT is buil...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2009
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| Online Access: | http://www.nusl.cz/ntk/nusl-282624 |